Related papers: Systemic Cascades On Inhomogeneous Random Financia…
We study the mutual percolation of a system composed of two interdependent random regular networks. We introduce a notion of distance to explore the effects of the proximity of interdependent nodes on the cascade of failures after an…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Network (or matrix) reconstruction is a general problem which occurs if the margins of a matrix are given and the matrix entries need to be predicted. In this paper we show that the predictions obtained from the iterative proportional…
Most of the turbulent flows appearing in nature (e.g. geophysical and astrophysical flows) are subjected to strong rotation and stratification. These effects break the symmetries of classical, homogenous isotropic turbulence. In doing so,…
Diffusion-driven instability is a fundamental mechanism underlying pattern formation in spatially extended systems. In almost all existing works, diffusion across the links of the underlying network is modeled through scalar weights,…
Recently, there has been a growing concern about the overload status of the power grid networks, and the increasing possibility of cascading failures. Many researchers have studied these networks to provide design guidelines for more robust…
Understanding how interdependence among systems affects cascading behaviors is increasingly important across many fields of science and engineering.Inspired by cascades of load shedding in coupled electric grids and other infrastructure, we…
Modern financial networks are highly connected and result in complex interdependencies of the involved institutions. In the prominent Eisenberg-Noe model, a fundamental aspect is clearing -- to determine the amount of assets available to…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB…
Modern networks are becoming increasingly interdependent. As a prominent example, the smart grid is an electrical grid controlled through a communications network, which in turn is powered by the electrical grid. Such interdependencies…
Network reliability is the probability that a dynamical system composed of discrete elements interacting on a network will be found in a configuration that satisfies a particular property. We introduce a new reliability property, Ising…
Localized perturbations in a real-world network have the potential to trigger cascade failures at the whole system level, hindering its operations and functions. Standard approaches analytically tackling this problem are mostly based either…
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from Biagini, Fouque, Fritelli and Meyer-Brandis (2019) to graph…
Trophic coherence, a measure of the extent to which the nodes of a directed network are organised in levels, has recently been shown to be closely related to many structural and dynamical aspects of complex systems, including graph…
We study cascading failures in a system comprising interdependent networks/systems, in which nodes rely on other nodes both in the same system and in other systems to perform their function. The (inter-)dependence among nodes is modeled…
The theory of pattern formation in reaction-diffusion systems is extended to the case of a directed network. Due to the structure of the network Laplacian of the scrutinised system, the dispersion relation has both real and imaginary parts,…